{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/more-robust-pricing-of-european-options-based","title":"More Robust Pricing of European Options Based on Fourier Cosine Series Expansions","arxiv_id":"2005.13248","date":"2020-05-27","proceeding":null,"authors":["Fabien Le Floc'h"],"abstract":"We present an alternative formula to price European options through cosine series expansions, under models with a known characteristic function such as the Heston stochastic volatility model. It is more robust across strikes and as fast as the original COS method.","url_abs":"https://arxiv.org/abs/2005.13248v2","url_pdf":"https://arxiv.org/pdf/2005.13248v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"more-robust-pricing-of-european-options-based","repo_url":"https://github.com/jherekhealy/CharFuncPricing.jl/blob/master/src/Cos.jl","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}